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Research Questions What is the performance profile of Day Traders? (1) Return and Gross Profit (2) Net Profit (3) Cross-sectional Performance What is the order type underlying their trade? Does performance influence sequent day trading?

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Taiwan Stock Exchange World’s 12 th largest financial market. 6.8 million (31 percent) of Taiwan’s population of 22.2 had opened a brokerage account as of end of Electronic limit order market. Daily price change limits of 7 percent. Cap of percent on commissions. Transaction Tax – 0.3 percent on Sales No capital gains tax.

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Research Questions Based on past trading activity What is the performance profile of Day Traders? (1) Return and Gross Profit (2) Net Profit (3) Cross-sectional Performance What is the order type underlying their trade? Does performance influence sequent day trading?

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Identifying Day Traders A. Partitioned by Past Day Trading Activity Sum Day Trades over six month for each investor Partition All Investors based on day trading Jan Feb Mar Apr May June July Aug Analyze performance of All Trades for Partition

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Research Questions Based on past daily profit scaled What is the performance profile of Day Traders? (1) Return and Gross Profit (2) Net Profit (3) Cross-sectional Performance What is the order type underlying their trade? Does performance influence sequent day trading?

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Identifying Day Traders B. Partitioned by Standardized Past Profits Calculate Daily Profits for each Investor over six month period Calculate mean daily profits scaled by standard deviation of profits (deals with scale issues) Partition investors with a minimum of 35 days of trading activity Jan Feb Mar Apr May June July Aug Analyze performance of All Trades for Partition

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Research Questions What is the performance profile of Day Traders? (1) Return and Gross Profit (2) Net Profit (3) Cross-sectional Performance What is the order type underlying their trade? Does performance influence sequent day trading?

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Research Questions What is the performance profile of Day Traders? (1) Return and Gross Profit (2) Net Profit (3) Cross-sectional Performance What is the order type underlying their trade? Does performance influence sequent day trading?

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Conclusion Performance of Day Traders The average day trader –Makes gross profits –Loses money after costs –Heavy day traders lose money after costs 8 of 10 day traders lose money Some day traders consistently profit